Advanced Search
MyIDEAS: Login to save this paper or follow this series

Revisiting Error Autocorrelation Correction: Common Factor Restrictions And Granger Causality

Contents:

Author Info

  • McGuirk, Anya M.
  • Spanos, Aris

Abstract

This paper demonstrates that linear regression models with an AR(1) error structure implicitly assume that y{t} does not Granger cause any of the exogenous variables in X{t}. An indirect test of the common factor restrictions based on this Granger non-causality is proposed and shown to outperform existing tests.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://purl.umn.edu/20176
Download Restriction: no

Bibliographic Info

Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2004 Annual meeting, August 1-4, Denver, CO with number 20176.

as in new window
Length:
Date of creation: 2004
Date of revision:
Handle: RePEc:ags:aaea04:20176

Contact details of provider:
Postal: 555 East Wells Street, Suite 1100, Milwaukee, Wisconsin 53202
Phone: (414) 918-3190
Fax: (414) 276-3349
Email:
Web page: http://www.aaea.org
More information through EDIRC

Related research

Keywords: Research Methods/ Statistical Methods;

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, Econometric Society, vol. 46(6), pages 1293-1301, November.
  2. Sargan, J D, 1980. "Some Tests of Dynamic Specification for a Single Equation," Econometrica, Econometric Society, Econometric Society, vol. 48(4), pages 879-97, May.
  3. Spanos, Aris, 1995. "On theory testing in econometrics : Modeling with nonexperimental data," Journal of Econometrics, Elsevier, Elsevier, vol. 67(1), pages 189-226, May.
  4. Hoover, Kevin D, 1988. "On the Pitfalls of Untested Common-Factor Restrictions: The Case of the Inverted Fisher Hypothesis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(2), pages 125-38, May.
  5. repec:cup:cbooks:9780521424080 is not listed on IDEAS
  6. Breusch, T S, 1978. "Testing for Autocorrelation in Dynamic Linear Models," Australian Economic Papers, Wiley Blackwell, vol. 17(31), pages 334-55, December.
  7. Hendry, David F & Mizon, Grayham E, 1978. "Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 88(351), pages 549-63, September.
  8. Spanos,Aris, 1986. "Statistical Foundations of Econometric Modelling," Cambridge Books, Cambridge University Press, number 9780521269124, 9.
  9. Spanos, Aris & McGuirk, Anya, 2002. "The problem of near-multicollinearity revisited: erratic vs systematic volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 108(2), pages 365-393, June.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ags:aaea04:20176. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.